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They don't scream. They don't have vocal chords. When you drop them in hot water, any air inside their carapace heats up. This causes it to increase in volume, forcing it to rush out any openings in the shell. This can cause a whistling noise that people with a tendency to anthropomorphize might hear as a scream.

And even if they do feel pain, you are not increasing their suffering by boiling them. The fate of nearly every living thing on this planet is to be eaten alive. If it makes you feel better you can dispatch it humanely before cooking it, but you're not causing any extra suffering by boiling it alive. All you've done is trade off one type of suffering (being torn apart alive) with another type (boiling).

The idea that you "cause" suffering is a classic misunderstanding of opportunity cost. People incorrectly compare against a nonexistent alternative (instead of being boiled, the lobster presumably lives forever, or dies in its sleep of old age). The correct comparison is against the most likely alternative, which is being torn apart and eaten alive.

The "suffering" logic works when applied to people (because we've managed to kill off nearly anything that would eat us, and thus are most likely to die of old age) or even applied to domesticated animals (because we protect them from predation). But it doesn't work when applied to animals harvested from the wild. In fact, if you soak them in ice water to dull their reactions and numb their senses before boiling like most knowledgeable people do, you're probably decreasing their suffering compared to if you hadn't caught them and had left them to their fate in the wild.

Pro tip. Put em in the freezer for about 1/2 an hour before you boil them. It doesn't kill but puts em in a shut down state. Also they don't release chemicals that can cause them to taste a little bitter.